Related papers: Elementary functions solutions to the Bachelier mo…
This article demonstrates how variation of parameters can be successfully implemented in combination with other classical techniques, such as the method of characteristics, to derive novel classes of solutions to nonlinear partial…
For functions defined via Dirichlet/generalized Dirichlet series in some half planes of the complex plane, we give a new simple elementary approach to obtain an Approximate Functional Equation(AFE for short) for the product of functions…
The theory of distributions provides generalized solutions for problems which do not have a classical solution. However, there are problems which do not have solutions, not even in the space of distributions. As model problem you may think…
In this note, we show a classical result on the local existence and uniqueness of a solution to an initial value problem subject to a Lipschitz condition. We use only elementary tools from mathematical analysis, without involving any…
In this work, we investigate the existence of positive solutions for a multi-point boundary value problem for a second order delay differential equation. Under certain growth conditions on the nonlinearity, and by the mean of Leray-Schauder…
High-dimensional partial differential equations (PDE) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment (CVA) models, or portfolio optimization models. The PDEs in…
In this paper we introduce a new approach to compute rigorously solutions of Cauchy problems for a class of semi-linear parabolic partial differential equations. Expanding solutions with Chebyshev series in time and Fourier series in space,…
The Closest Point Method for solving partial differential equations (PDEs) posed on surfaces was recently introduced by Ruuth and Merriman [J. Comput. Phys. 2008] and successfully applied to a variety of surface PDEs. In this paper we study…
The last decades saw growing interest across multiple disciplines in nonlinear phenomena described by partial differential equations (PDE). Integrability of such equations is tightly related with the Painleve property - solutions being free…
The article deals with gradient-like iterative methods for solving nonlinear operator equations on Hilbert and Banach spaces. The authors formulate a general principle of studying such methods. This principle allows to formulate simple…
We present a unified, market-complete model that integrates both the Bachelier and Black-Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that…
We consider the following quasi-linear parabolic system of backward partial differential equations: $(\partial_t+L)u+f(\cdot,\cdot,u, \nabla u\sigma)=0$ on $[0,T]\times \mathbb{R}^d\qquad u_T=\phi$, where $L$ is a possibly degenerate second…
In this paper, we establish the second order estimates of solutions to the first initial-boundary value problem for general Hessian type fully nonlinear parabolic equations on Riemannian manifolds. The techniques used in this article can…
In this work, we introduce the new class of functions which can use to solve the nonlinear/linear multi-dimensional differential equations. Based on these functions, a numerical method is provided which is called the Developed Lagrange…
In investigation of boundary-value problems for certain partial differential equations arising in applied mathematics, we often need to study the solution of system of partial differential equations satisfied by hypergeometric functions and…
In the present paper the classical point symmetry analysis is extended from partial differential to functional differential equations with functional derivatives. In order to perform the group analysis and deal with the functional…
Nonlinear boundary value problems (BVPs) by means of the classical Lie symmetry method are studied. A new definition of Lie invariance for BVPs is proposed by the generalization of existing those on much wider class of BVPs. A class of…
Transformations of differential equations to other equivalent equations play a central role in many routines for solving intricate equations. A class of differential equations that are particularly amenable to solution techniques based on…
Whereas Lie had linearized scalar second order ordinary differential equations (ODEs) by point transformations and later Chern had extended to the third order by using contact transformation, till recently no work had been done for higher…
In this work we find a sequence of functions at which the Pearcey function is identically zero. The sequence of functions can be expressed in terms of a second order non-linear ODE, which happens to be the Rayleigh-type. As a byproduct of…